Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0286
Annualized Std Dev 0.2718
Annualized Sharpe (Rf=0%) -0.1052

Row

Daily Return Statistics

Close
Observations 5581.0000
NAs 1.0000
Minimum -0.2942
Quartile 1 -0.0065
Median 0.0004
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0076
Maximum 0.1375
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0005
Variance 0.0003
Stdev 0.0171
Skewness -1.8634
Kurtosis 28.1718

Downside Risk

Close
Semi Deviation 0.0131
Gain Deviation 0.0113
Loss Deviation 0.0155
Downside Deviation (MAR=210%) 0.0174
Downside Deviation (Rf=0%) 0.0131
Downside Deviation (0%) 0.0131
Maximum Drawdown 0.9155
Historical VaR (95%) -0.0248
Historical ES (95%) -0.0433
Modified VaR (95%) -0.0263
Modified ES (95%) -0.0574
From Trough To Depth Length To Trough Recovery
2007-02-27 2009-03-09 NA -0.9155 3539 512 NA
1999-01-07 2002-10-10 2005-08-15 -0.6653 1657 944 713
2005-09-07 2005-11-18 2006-03-20 -0.1717 134 53 81
2006-05-11 2006-06-14 2006-08-22 -0.1647 72 24 48
2007-01-03 2007-01-05 2007-02-20 -0.1581 33 3 30

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -1.2 2 -0.7 0.7 -0.8 1.5 1.5 1.5 -0.4 -2.3 0.8 1.7 4.4
2000 1.7 1.2 0.8 1.7 -1.3 0 0.9 0.4 1.7 -0.4 1.5 2.8 11.4
2001 0.1 0.2 0.3 1.2 -0.7 0 0.1 -0.2 -0.9 -1.1 0.5 0 -0.6
2002 0.5 1.5 0.5 -0.6 -0.4 0.5 0.3 -1 -0.6 2.7 0.6 0.1 4
2003 0.2 0.6 1.1 1.4 -0.4 1.3 0.6 0.2 0.8 0.2 2.9 2 11.4
2004 0.9 0.1 1.1 -0.1 0.6 0.5 0.1 0.1 0.4 0.2 1.3 -0.6 4.8
2005 0.4 1 0.9 0.5 0 0.9 1.2 0 0.6 -0.6 0.6 -1 4.6
2006 -1 -0.2 2.2 -1.6 0.4 0.8 0.4 -0.5 -0.1 -0.4 -0.2 1.7 1.5
2007 1.1 -2.6 0.8 0.3 1 -0.1 0.5 1.7 -0.5 -4.8 2.9 0.9 0.9
2008 1.6 -0.5 3.4 0.3 0.3 -0.8 -3.3 -0.3 -0.8 3.5 -5.6 -0.4 -3
2009 -4.1 -2.7 4.7 1.8 3.8 0.9 1.6 -2.3 -3.2 -5.7 1.8 -0.3 -4.3
2010 1.5 -0.9 3.6 -1.1 -0.2 -1.2 1.3 2.8 1.6 0.5 0.9 -0.9 8
2011 1.4 -0.4 1.3 1.2 -0.2 0.6 -0.4 -0.9 -2.1 -0.9 -0.7 0.6 -0.7
2012 1.7 1.5 0.7 0.8 -1.3 4.1 -0.4 0.3 -0.6 0.8 0 2.6 10.5
2013 0.8 0.2 -0.4 0 -0.4 1.2 0.4 -0.9 0.6 -1 0.6 0.7 1.9
2014 -1.8 1.1 1.1 -0.2 0.4 1 -1.5 0.7 -1.2 0.4 0 -1.4 -1.5
2015 -1 0.5 -0.5 0.6 -0.4 -0.1 1.2 -0.7 -1.5 -0.1 0.7 1.3 0.1
2016 0.6 2 0.4 -0.4 -0.7 0.2 -0.5 -0.1 -0.2 0.3 0.4 0.5 2.4
2017 -0.4 1.5 -0.9 0.1 0.6 1.2 -0.1 1.1 0.9 0.1 -1.8 -0.2 2.2
2018 -0.4 -1.1 0.7 -0.4 0.7 1.7 -0.4 0.1 -0.9 0.2 0.6 5.4 6
2019 1 -0.4 0.7 0.1 0 0.3 -0.3 -1.2 -0.6 0.4 0.1 -0.1 0.1
2020 -1.4 -4.1 -1.9 -2 2.6 0.9 0.1 -1 0.6 -0.4 1 -1.7 -7.3
2021 -2.1 1.2 0 NA NA NA NA NA NA NA NA NA -1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  21.5 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  22.4 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  23.1 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  22.4 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  21.8 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  22.1 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart